Risk management using quasi-static hedging

Economic Notes

Volumn 31, Issue 2, 2002, Pages 277-336

  Allen, Steve ^a   Padovani, Otello ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MANAGEMENT; METHODOLOGY; RISK FACTOR;

EID: 0036081866     PISSN: 03915026     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0300.00088     Document Type: Article

References (16)

1. Prices of state-contingent claims implicit in options prices
2. Breaking barriers
3. Static hedging of exotic options
4. Market risk for variance swaps
5. More than you ever wanted to know about volatility swaps
6. Stochastic implied Trees: Arbitrage pricing with stochastic term and strike structure of volatility
7. Forever hedged
8. Static option replication
9. Riding on a smile
10. A closed-form solution for options with stochastic volatility, with applications to bond and currency options
11. The log contract: A new instrument to hedge volatility